NO.PZ2018053101000017
问题如下:
A hedge fund has the following fee structure:
Annual management fee based on year-end AUM 2%
Incentive fee 20%
Hurdle rate before incentive fee collection starts 4%
Current high-water mark $610 million
The fund has a value of $583.1 million at the beginning of the year. After one year, it has a value of $642 million before fees. The net return to an investor for this year is closest to:
选项:
A.6.72%.
B.6.80%.
C.7.64%.
解释:
C is correct.
The management fee for the year is $642 × 0.02 = $12.84 million.
Because the ending value exceeds the high-water mark, the hedge fund can collect an incentive fee. The incentive fee is
{$642 – [$610 × (1 + 0.04)]} × 0.20 = $1.52 million.
The net return to the investor for the year is
[($642 – $12.84 – $1.52)/$583.1] – 1 ≈ 0.07638 ≈ 7.64%.
管理费=年底AUM*管理费率=$642 × 0.02 = $12.84 million
因为642>610, 达到了之前高水位要求,可以拿到绩效奖
绩效奖=[$642 –($610 × 1.04)]× 0.20 = $1.52 million
所以总费用=$12.84 million+$1.52 million=14.36million
所以净收益=[($642 – $14.36)/$583.1]-1= 7.64%.
注意这里的hurdle rate是在高水位水平上进行计算,而不是年初的AUM。
老师您好,,
请问这道题的hurdle rate 是 hard hurdle rate 吗?
如果是 soft hurdle rate 计算有什么差异哈?
我把hard hurdle rate 的计算方式附在下面,谢谢老师。
hard hurdle rate
“解题思路:
1> 先计算管理费;
2> 判断绩效奖是否需要net管理费,题目未提及需要,则无需net管理费;
3> 与高水位比较,判断能否拿绩效奖——642>610, 达到了之前高水位要求,可以拿到绩效奖;
4> 计算绩效奖:由于有hurdle rate 限制,先计算超过hurdle rate的部分,再乘以奖金系数——绩效奖=[$642 –($610 × 1.04)]× 0.20 = $1.52 million
5> 计算净收益率,(期末AUM-管理费-绩效奖-期初AUM)/期初AUM = 净收益率——[($642 – $14.36)/$583.1]-1= 7.64%.
第一次遇到这道题做不出来是正常的,因为既涉及hurdle rate又涉及高水位,和画图没关系,但按照我上面的思路慢慢做,还是可以做出来。
既有水位线,又有hurdle rate要求,判断能否拿绩效奖时,两者都要满足,即:
年底AUM-管理费=年底净值,既要大于之前的高水位线(不用乘以1+hurdle rate),也要大于年初AUM*(1+hurdle rate),这个步骤是判断能不能拿绩效奖。一般题目给出的情况都是hurdle rate容易满足,高水位线不容易满足,即出现hurdle rate达到要求,但是高水位线没达到达到,因此不能拿到绩效奖的情况。
而具体计算绩效奖,在既有水位线,又有hurdle rate要求时,绩效奖的计算基础是以高水位线为起点,到年底净值(AUM)之间部分,是按照超过高水位*(1+hurdle rate)作为基础来计算。关于这一部分的计算,课后题视频中有详细讲解,建议再复习一下彻底掌握~”